Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/466931
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dc.contributor.authorChavis, Betty-
dc.contributor.authorGreco, Joseph F.-
dc.contributor.authorLi, Yuming-
dc.date.accessioned2023-10-02T05:42:43Z-
dc.date.available2023-10-02T05:42:43Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/466931-
dc.description.abstractIt is well known that exchange-listed companies in China issue two types of securities, A shares that only local investors can trade and B shares that only foreign investors can trade. But an additional security, known as the H share, has traded on the Stock Exchange of Hong Kong since 1993. Previous research shows that rational A-share investors condition their trading decisions on the previous price movements of B shares probably because foreign investors receive news about China faster than domestic Chinese investors. Our study extends the research to examine the cross-autocorrelation between A shares and H shares. We find that H shares lead A shares only for firn1s with high volatility of returns on H shares. Following days when one of the exchanges is closed, the cross-autocorrelations between A shares and H shares increase and more interestingly, the price movements of H shares arc positively correlated with past price changes of A shares We explain the results using rational imperfect information model.en_US
dc.language.isoenen_US
dc.publisherNanyang Business School, Nanyang Technological Universityen_US
dc.subjectInvestment -- Chinaen_US
dc.subjectForeign investorsen_US
dc.titleInformation transmission between a shares and H Shares in the Chinese stock marketsen_US
dc.typeSeminar Papersen_US
dc.format.pages37en_US
dc.identifier.callnoHG4026.A536 1999 semen_US
dc.contributor.conferencenameEleventh Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationPan Pacific Hotel, Singapore-
dc.date.conferencedate1999-07-08-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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